The table below explains the derivative options strategies:
Derivative options
Derivative options
Disclaimer: The data interpretation is purely for educational purpose. For investors, please evaluate your own options; don’t use these predictions for investment purpose. I do not endorse or uphold any of my findings for investment purpose. IT’S PURELY FOR UNDERSTANDING THE SUBJECT.
The Suzlon Energy Ltd, Derivatives options trading in NSE on the trading day 3rd June 2011, can be evaluated based on following:
- Bull spread
- Bearish spread
- Butterfly spread
- Straddle
- Strangle
- Strip
- Strap
- Condors
- Box
The detailed evaluation is as below:
Bull Spread
Taking call @ Extreme positions:
| 2CE |
CALL |
||
| Price | Premium | ||
| Long @ |
50.00 |
2.60 |
|
| Short @ |
60.00 |
0.20 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
(2.60) |
0.20 |
(2.40) |
|
42.25 |
(2.60) |
0.20 |
(2.40) |
|
45.00 |
(2.60) |
0.20 |
(2.40) |
|
47.25 |
(2.60) |
0.20 |
(2.40) |
|
50.00 |
(2.60) |
0.20 |
(2.40) |
|
52.25 |
(0.35) |
0.20 |
(0.15) |
|
55.00 |
2.40 |
0.20 |
2.60 |
|
57.25 |
4.65 |
0.20 |
4.85 |
|
60.00 |
7.40 |
0.20 |
7.60 |
|
62.25 |
9.65 |
(2.05) |
7.60 |
|
65.00 |
12.40 |
(4.80) |
7.60 |
Cancel out the transaction:
| 2CE |
CALL |
||
| Price | Premium | ||
| Long @ |
55.00 |
0.75 |
|
| Short @ |
55.00 |
0.75 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
(0.75) |
0.75 |
0.00 |
|
42.25 |
(0.75) |
0.75 |
0.00 |
|
45.00 |
(0.75) |
0.75 |
0.00 |
|
47.25 |
(0.75) |
0.75 |
0.00 |
|
50.00 |
(0.75) |
0.75 |
0.00 |
|
52.25 |
(0.75) |
0.75 |
0.00 |
|
55.00 |
(0.75) |
0.75 |
0.00 |
|
57.25 |
1.50 |
(1.50) |
0.00 |
|
60.00 |
4.25 |
(4.25) |
0.00 |
|
62.25 |
6.50 |
(6.50) |
0.00 |
|
65.00 |
9.25 |
(9.25) |
0.00 |
Taking call @ intermediate positions:
| 2CE |
CALL |
||
| Price | Premium | ||
| Long @ |
52.25 |
1.50 |
|
| Short @ |
57.25 |
0.35 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
(1.50) |
0.35 |
(1.15) |
|
42.25 |
(1.50) |
0.35 |
(1.15) |
|
45.00 |
(1.50) |
0.35 |
(1.15) |
|
47.25 |
(1.50) |
0.35 |
(1.15) |
|
50.00 |
(1.50) |
0.35 |
(1.15) |
|
52.25 |
(1.50) |
0.35 |
(1.15) |
|
55.00 |
1.25 |
0.35 |
1.60 |
|
57.25 |
3.50 |
0.35 |
3.85 |
|
60.00 |
6.25 |
(2.40) |
3.85 |
|
62.25 |
8.50 |
(4.65) |
3.85 |
|
65.00 |
11.25 |
(7.40) |
3.85 |
Using put option for bull spread:
| 2PE |
PUT |
||
| Price | Premium | ||
| Long @ |
45.00 |
0.30 |
|
| Short @ |
55.00 |
4.25 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
4.70 |
(10.75) |
(6.05) |
|
42.25 |
2.45 |
(8.50) |
(6.05) |
|
45.00 |
(0.30) |
(5.75) |
(6.05) |
|
47.25 |
(0.30) |
(3.50) |
(3.80) |
|
50.00 |
(0.30) |
(0.75) |
(1.05) |
|
52.25 |
(0.30) |
1.50 |
1.20 |
|
55.00 |
(0.30) |
4.25 |
3.95 |
|
57.25 |
(0.30) |
4.25 |
3.95 |
|
60.00 |
(0.30) |
4.25 |
3.95 |
|
62.25 |
(0.30) |
4.25 |
3.95 |
|
65.00 |
(0.30) |
4.25 |
3.95 |
———————————————————————————————————————————————————————————————————————————————————
Bear Spread:
Taking call position at extreme ends:
| 2CE |
CALL |
||
| Price | Premium | ||
| Long @ |
60.00 |
0.20 |
|
| Short @ |
50.00 |
2.60 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
(0.20) |
2.60 |
2.40 |
|
42.25 |
(0.20) |
2.60 |
2.40 |
|
45.00 |
(0.20) |
2.60 |
2.40 |
|
47.25 |
(0.20) |
2.60 |
2.40 |
|
50.00 |
(0.20) |
2.60 |
2.40 |
|
52.25 |
(0.20) |
2.60 |
2.40 |
|
55.00 |
(0.20) |
(0.75) |
(0.95) |
|
57.25 |
(0.20) |
(3.00) |
(3.20) |
|
60.00 |
(0.20) |
(5.75) |
(5.95) |
|
62.25 |
2.05 |
(8.00) |
(5.95) |
|
65.00 |
4.80 |
(10.75) |
(5.95) |
Taking put position at extreme ends:
| 2PE |
PUT |
||
| Price | Premium | ||
| Long @ |
55.00 |
4.25 |
|
| Short @ |
45.00 |
0.30 |
|
| StockPrice | Long | Short | Net Pos |
|
40.00 |
10.75 |
(4.70) |
6.05 |
|
42.25 |
8.50 |
(2.45) |
6.05 |
|
45.00 |
5.75 |
0.30 |
6.05 |
|
47.25 |
3.50 |
0.30 |
3.80 |
|
50.00 |
0.75 |
0.30 |
1.05 |
|
52.25 |
(1.50) |
0.30 |
(1.20) |
|
55.00 |
(4.25) |
0.30 |
(3.95) |
|
57.25 |
(4.25) |
0.30 |
(3.95) |
|
60.00 |
(4.25) |
0.30 |
(3.95) |
|
62.25 |
(4.25) |
0.30 |
(3.95) |
|
65.00 |
(4.25) |
0.30 |
(3.95) |
—————————————————————————————————————————-
Butterfly spread
| CALL | ||||
| Price | Premium | |||
| Long @ E1 | 50.00 | 2.60 | ||
| Short @ E2 | 52.25 | 1.50 | ||
| Long @ E3 | 55.00 | 0.75 | ||
| StockPrice | Long (E1) | Short (E2) | Long (E3) | Net Pos |
|
40.00 |
(2.60) |
3.00 |
(0.75) |
(0.35) |
|
42.25 |
(2.60) |
3.00 |
(0.75) |
(0.35) |
|
45.00 |
(2.60) |
3.00 |
(0.75) |
(0.35) |
|
47.25 |
(2.60) |
3.00 |
(0.75) |
(0.35) |
|
50.00 |
(2.60) |
3.00 |
(0.75) |
(0.35) |
|
52.25 |
(0.35) |
3.00 |
(0.75) |
1.90 |
|
55.00 |
2.40 |
(2.50) |
(0.75) |
(0.85) |
|
57.25 |
4.65 |
(7.00) |
1.50 |
(0.85) |
|
60.00 |
7.40 |
(12.50) |
4.25 |
(0.85) |
|
62.25 |
9.65 |
(17.00) |
6.50 |
(0.85) |
|
65.00 |
12.40 |
(22.50) |
9.25 |
(0.85) |
———————————————————————————————————————————————————————————————————————————————————
Straddle:
Top Straddle
| TOP | |||
| Price | Premium | ||
| Long Call | 55.00 | 0.75 | |
| Long Put | 55.00 | 4.25 | |
| StockPrice | LongCall | LongPut | Net Pos |
|
40.00 |
(0.75) |
10.75 |
10.00 |
|
42.25 |
(0.75) |
8.50 |
7.75 |
|
45.00 |
(0.75) |
5.75 |
5.00 |
|
47.25 |
(0.75) |
3.50 |
2.75 |
|
50.00 |
(0.75) |
0.75 |
0.00 |
|
52.25 |
(0.75) |
(1.50) |
(2.25) |
|
55.00 |
(0.75) |
(4.25) |
(5.00) |
|
57.25 |
1.50 |
(4.25) |
(2.75) |
|
60.00 |
4.25 |
(4.25) |
0.00 |
|
62.25 |
6.50 |
(4.25) |
2.25 |
|
65.00 |
9.25 |
(4.25) |
5.00 |
Bottom Straddle
|
Bottom |
|||
|
Price |
Premium |
||
|
Short Call |
55.00 |
0.75 |
|
|
Short Put |
55.00 |
4.25 |
|
|
StockPrice |
ShortCall |
ShortPut |
Net Pos |
|
40.00 |
0.75 |
(10.75) |
(10.00) |
|
42.25 |
0.75 |
(8.50) |
(7.75) |
|
45.00 |
0.75 |
(5.75) |
(5.00) |
|
47.25 |
0.75 |
(3.50) |
(2.75) |
|
50.00 |
0.75 |
(0.75) |
0.00 |
|
52.25 |
0.75 |
1.50 |
2.25 |
|
55.00 |
0.75 |
4.25 |
5.00 |
|
57.25 |
(1.50) |
4.25 |
2.75 |
|
60.00 |
(4.25) |
4.25 |
0.00 |
|
62.25 |
(6.50) |
4.25 |
(2.25) |
|
65.00 |
(9.25) |
4.25 |
(5.00) |
——————————————————————————————————————————————————————————————————————————————————–
Strip
| TOP | |||
| Price | Premium | ||
| Long Call | 55.00 | 0.75 | |
| Long Put | 55.00 | 4.25 | |
| StockPrice | LongCall | LongPut | Net Pos |
|
40.00 |
(0.75) |
21.50 |
20.75 |
|
42.25 |
(0.75) |
17.00 |
16.25 |
|
45.00 |
(0.75) |
11.50 |
10.75 |
|
47.25 |
(0.75) |
7.00 |
6.25 |
|
50.00 |
(0.75) |
1.50 |
0.75 |
|
52.25 |
(0.75) |
(3.00) |
(3.75) |
|
55.00 |
(0.75) |
(8.50) |
(9.25) |
|
57.25 |
1.50 |
(8.50) |
(7.00) |
|
60.00 |
4.25 |
(8.50) |
(4.25) |
|
62.25 |
6.50 |
(8.50) |
(2.00) |
|
65.00 |
9.25 |
(8.50) |
0.75 |
——————————————————————————————————————————————————————————————————————————————————–
Strap
| TOP | |||
| Price | Premium | ||
| Long Call | 55.00 | 0.75 | |
| Long Put | 55.00 | 4.25 | |
| StockPrice | LongCall | LongPut | Net Pos |
|
40.00 |
(1.50) |
10.75 |
9.25 |
|
42.25 |
(1.50) |
8.50 |
7.00 |
|
45.00 |
(1.50) |
5.75 |
4.25 |
|
47.25 |
(1.50) |
3.50 |
2.00 |
|
50.00 |
(1.50) |
0.75 |
(0.75) |
|
52.25 |
(1.50) |
(1.50) |
(3.00) |
|
55.00 |
(1.50) |
(4.25) |
(5.75) |
|
57.25 |
3.00 |
(4.25) |
(1.25) |
|
60.00 |
8.50 |
(4.25) |
4.25 |
|
62.25 |
13.00 |
(4.25) |
8.75 |
|
65.00 |
18.50 |
(4.25) |
14.25 |
——————————————————————————————————————————————————————————————————————————————————–
Strangle
| Long | |||
| Price | Premium | ||
| Long Put | 47.50 | 0.60 | |
| Long Call | 55.00 | 0.75 | |
| StockPrice | LongPut | LongCall | Net Pos |
|
40.00 |
6.90 |
(0.75) |
6.15 |
|
42.25 |
4.65 |
(0.75) |
3.90 |
|
45.00 |
1.90 |
(0.75) |
1.15 |
|
47.25 |
(0.35) |
(0.75) |
(1.10) |
|
50.00 |
(0.60) |
(0.75) |
(1.35) |
|
52.25 |
(0.60) |
(0.75) |
(1.35) |
|
55.00 |
(0.60) |
(0.75) |
(1.35) |
|
57.25 |
(0.60) |
1.50 |
0.90 |
|
60.00 |
(0.60) |
4.25 |
3.65 |
|
62.25 |
(0.60) |
6.50 |
5.90 |
|
65.00 |
(0.60) |
9.25 |
8.65 |
——————————————————————————————————————————————————————————————————————————————————–
Condors
|
PUT |
|||||||||
| Price | Premium | ||||||||
| E1 | 45.00 | 0.30 | |||||||
| E2 | 47.50 | 0.60 | |||||||
| E3 | 50.00 | 1.35 | short | long | long | short | |||
| E4 | 52.50 | 2.60 | StockPrice | E1 | E2 | E3 | E4 | NetPos | |
|
40.00 |
0.30 |
(0.60) |
(1.35) |
2.60 |
0.95 |
||||
| Rule |
42.25 |
0.30 |
(0.60) |
(1.35) |
2.60 |
0.95 |
|||
| 1.00 | E1 < E2 < E3 <E4 | PASS |
45.00 |
0.30 |
(0.60) |
(1.35) |
2.60 |
0.95 |
|
| 2.00 | E2 – E1 = E4-E3 | PASS |
47.25 |
(1.95) |
(0.60) |
(1.35) |
2.60 |
(1.30) |
|
| 3.00 | E3 – E1 = 2(E2 – E1) | PASS |
50.00 |
(4.70) |
1.90 |
(1.35) |
2.60 |
(1.55) |
|
|
52.25 |
(6.95) |
4.15 |
0.90 |
2.60 |
0.70 |
||||
|
55.00 |
(9.70) |
6.90 |
3.65 |
0.10 |
0.95 |
||||
|
57.25 |
(11.95) |
9.15 |
5.90 |
(2.15) |
0.95 |
||||
|
60.00 |
(14.70) |
11.90 |
8.65 |
(4.90) |
0.95 |
||||
|
62.25 |
(16.95) |
14.15 |
10.90 |
(7.15) |
0.95 |
||||
|
65.00 |
(19.70) |
16.90 |
13.65 |
(9.90) |
0.95 |
——————————————————————————————————————————————————————————————————————————————————–
Box
| Price | Premium | ||||||||
| E1 – Call | 50.00 | 2.60 | |||||||
| E1 – Put | 52.50 | 2.60 |
E1 |
E2 |
|||||
| E2 – Call | 52.25 | 1.50 | StockPrice | LongCall | ShortPut | ShortCall | LongPut | NetPos | |
| E2 – Put | 55.00 | 4.25 |
40.00 |
(2.60) |
(9.90) |
1.50 |
10.75 |
(0.25) |
|
|
42.25 |
(2.60) |
(7.65) |
1.50 |
8.50 |
(0.25) |
||||
| Rule: |
45.00 |
(2.60) |
(4.90) |
1.50 |
5.75 |
(0.25) |
|||
| 1.00 | E2 > E1 | PASS |
47.25 |
(2.60) |
(2.65) |
1.50 |
3.50 |
(0.25) |
|
|
50.00 |
(2.60) |
0.10 |
1.50 |
0.75 |
(0.25) |
||||
|
52.25 |
(0.35) |
2.35 |
1.50 |
(1.50) |
2.00 |
||||
|
55.00 |
2.40 |
2.60 |
(1.25) |
(4.25) |
(0.50) |
||||
|
57.25 |
4.65 |
2.60 |
(3.50) |
(4.25) |
(0.50) |
||||
|
60.00 |
7.40 |
2.60 |
(6.25) |
(4.25) |
(0.50) |
||||
|
62.25 |
9.65 |
2.60 |
(8.50) |
(4.25) |
(0.50) |
||||
|
65.00 |
12.40 |
2.60 |
(11.25) |
(4.25) |
(0.50) |
||||
——————————————————————————————————————————————————————————————————————————————————–
